An excellent example of the above, is the recent Sony DRM fiasco. Playing a DRM CD places malware on a Windows computer. With Linux, where users normally do not run as root, the DRM software couldn't do anything harmful to the computer.
Unlike with Windows, in Linux, if I have to do something that requires root permissions, I am prompted for the root password. Then, only that app gets root permissions. In Windows, that doesn't happen. If a user wants to be able to do such things, he has to run as admin, which leaves the system wide open. Many Windows users always run as admin, because it's so inconvenient to not do so.